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MOR
2006
79views more  MOR 2006»
15 years 4 months ago
Poisson Disorder Problem with Exponential Penalty for Delay
Abstract. We solve the Poisson disorder problem when the delay is penalized exponentially. Our objective is to detect as quickly as possible the unobservable time of the change (or...
Erhan Bayraktar, Savas Dayanik
SIAMCO
2008
116views more  SIAMCO 2008»
15 years 4 months ago
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
Bruno Bouchard
IJON
2007
73views more  IJON 2007»
15 years 4 months ago
Time-scales in the interplay between calcium and voltage dynamics
The interaction between slow calcium dynamics and voltage dynamics increases the processing capabilities of neurons. A proper understanding of this interaction has to take into ac...
Srikanth Ramaswamy, Fabiano Baroni, Pablo Varona, ...
113
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TSP
2008
89views more  TSP 2008»
15 years 4 months ago
Optimal Filters on the Sphere
We derive optimal filters on the sphere in the context of detecting compact objects embedded in a stochastic background process. The matched filter and the scale adaptive filter ar...
Jason D. McEwen, Michael P. Hobson, Anthony N. Las...
PE
2000
Springer
95views Optimization» more  PE 2000»
15 years 4 months ago
Compositional performance modelling with the TIPPtool
Stochastic process algebras have been proposed as compositional specification formalisms for performance models. In this paper, we describe a tool which aims at realising all bene...
Holger Hermanns, Ulrich Herzog, Ulrich Klehmet, Va...